Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0273
Annualized Std Dev 0.1983
Annualized Sharpe (Rf=0%) -0.1378

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1330
Quartile 1 -0.0053
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0053
Maximum 0.2571
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0125
Skewness 0.8701
Kurtosis 47.0777

Downside Risk

Close
Semi Deviation 0.0088
Gain Deviation 0.0100
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0137
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.7152
Historical VaR (95%) -0.0163
Historical ES (95%) -0.0286
Modified VaR (95%) -0.0054
Modified ES (95%) -0.0054
From Trough To Depth Length To Trough Recovery
1999-02-09 2008-12-16 NA -0.7152 5565 2480 NA
1999-01-21 1999-02-01 1999-02-08 -0.0303 13 8 5
1999-01-07 1999-01-11 1999-01-19 -0.0227 8 3 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.8 0 0.8 -0.8 -0.9 0.9 0 -1.9 0 0 -3.3 -2.2 -7.9
2000 -1.1 0 -1.1 0 0 2.2 1.1 1.1 0 -1.1 -1.2 0 -0.2
2001 0.5 0.7 -0.2 -1.5 -0.2 -1 -0.5 -0.3 0 1.4 -0.5 1.5 -0.2
2002 0.7 -0.9 0.9 0.7 0 0.3 0.5 -0.5 0 1.8 0.7 -0.4 4
2003 0 -0.4 0 0.5 -0.7 1 0 -0.4 -0.4 -0.4 0 -0.5 -1.1
2004 -1.2 0 -0.3 1.3 0.4 -1.1 -0.4 0 0.4 0 -0.7 0 -1.6
2005 0.2 0.5 2 0.5 1.3 -0.2 0 0.5 -0.2 0.2 -1.1 0.2 4
2006 0.5 0.5 0.7 -0.5 0.7 0.4 0.3 0.7 0.9 -0.5 0.3 -0.5 3.5
2007 0.2 0.2 0.2 0 0 2.5 -1.1 -1.2 -0.2 -0.6 -1.4 1.1 -0.5
2008 1.4 -5.3 1.4 -1.1 -0.4 0.8 1 -0.4 2.9 -3 0.3 4.5 1.7
2009 0 -3.3 3 1.1 -1.1 2.1 -4.3 1 -1.1 -1.7 0.2 1.7 -2.6
2010 1.6 1.1 2.2 1.1 -0.2 0.2 0 0.2 1.3 0.8 -1.1 3.3 11
2011 0 0.2 0.7 0.7 0 0 1.6 -1.1 -0.5 -0.7 -2 -0.2 -1.2
2012 0.6 2 0 -0.4 0.4 1.2 -0.2 -0.4 -1.5 -1.4 -0.2 -0.4 -0.3
2013 0 -0.2 0.4 0.2 -1.8 1.3 -0.7 -0.7 0.2 -0.7 0.8 -0.5 -1.8
2014 3.9 0 -0.2 2.9 0.2 -0.2 0.2 0.7 0.2 0 0.5 -0.7 7.6
2015 0.7 1.6 0.9 -0.2 -0.5 -0.2 1 -1.2 0.5 1.1 0.2 0.2 4
2016 1.3 0 0.4 -0.4 1.3 0 0.4 0.8 -0.2 0.2 -1.1 0 2.6
2017 -0.2 0.2 0.4 0.2 1.1 0.9 0.8 -0.6 -0.2 -2.1 -0.4 -0.4 -0.4
2018 0 -0.2 0 1.6 0.4 0.7 0.7 0.7 0.7 0.9 0.2 1.7 7.6
2019 0.9 0.2 0.9 -0.2 0.2 2.5 -1.2 -0.2 0 0.9 0.4 -0.2 4.2
2020 -0.2 -3.1 -7.6 0.8 2.2 0.5 0.3 0 1 -0.2 0.2 1.4 -5
2021 0.4 0.9 0.2 NA NA NA NA NA NA NA NA NA 1.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart